Cannot block sites when accessed via Proxy by SEP Firewall

Hi guys , I am facing some strange behavior , would like to have your expert opinion whether it is some known behavior or it is working  by design.  

I have a firewall policy that is blocking access to *.facebook.com and *.youtube.com . Version of SEPM and clients is 12.1.6 MP3

Now when users try to access these blocked sites normally ( without going through the corporate proxy) their access is blocked via SEP firewall

But when users access these sites by going through the corporate proxy ( having IP address of the proxy configured in the browsers) then can access these sites and firewall rules never fires.

Now I need to know that is this some known behavior that we cannot block access with SEP firewall when access to these URLs is made through the proxy ? 

Thanks